Cross-Sectional Dispersion Trading (JP All Stocks)
slug: dispersion-jp-all
performance summary
Sharpe (median)
-0.16
Max DD
-31.3%
Win rate
—
Alpha (ann.)
—
p-value
0.49
backtest period: 2022-03-01 → 2026-02-02
Sharpe across 192 grid runs:median -0.16best 0.57 (not representative)worst -0.95p25–p75 -0.37–0.05
Hypothesis
Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. Testing on the full Japanese stock universe.
Why it didn't work
Across 192 grid combinations, median Sharpe=-0.16, best=0.57. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.57 (p=0.25).
period 2022-03-01–2026-02-02; cost=5bps
cite ↗ /cite/dispersion-jp-all-fact-best-sharpevia r-dispersion-jp-all-0002
Median Sharpe across 192 grid runs is -0.16.
Full grid of 192 parameter combinations.
Median Sharpe in DOWN regime is -0.18 across 192 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.25 across 192 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.43 across 192 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0000 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.50 | +0.30 | -0.54 | -1.84 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-jp-all-0001 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | -0.64 | +0.11 | -0.67 | -1.96 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0002 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.57 | +1.58 | +0.23 | +0.18 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0003 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.41 | +1.45 | +0.05 | +0.05 |
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0008 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.03 | +0.38 | +0.03 | -1.18 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0016 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.34 | -0.66 | -0.29 | -0.08 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0019 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.95 | -2.23 | -0.43 | -1.12 |
dispersion_window=10, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0026 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.44 | +1.75 | +0.08 | +0.21 |
dispersion_window=10, holding_days=10, base_signal=mean_reversion, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0042 | cost_bps: 5 n_stocks: 10 base_signal: "mean_reversion" | -0.78 | -2.55 | -0.41 | -0.20 |
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0058 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_60" | -0.07 | +1.36 | -0.69 | +2.29 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0072 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.20 | +0.75 | -0.54 | +2.48 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0075 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.17 | +1.67 | -0.25 | +3.60 |
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0091 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.29 | -0.92 | -0.03 | -10.01 |
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0107 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_60" | +0.14 | +0.48 | +0.01 | -0.43 |
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0123 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.34 | +1.65 | -0.03 | +0.14 |
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0139 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.89 | -2.67 | -0.53 | -0.27 |
dispersion_window=20, holding_days=20, base_signal=momentum_60, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0155 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_60" | -0.16 | +1.28 | -0.79 | +2.07 |
dispersion_window=20, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0171 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.17 | +1.67 | -0.25 | +3.60 |
dispersion_window=20, holding_days=60, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0187 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.29 | -0.92 | -0.03 | -10.01 |
dispersion_window=40, holding_days=5, base_signal=momentum_60, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0203 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_60" | +0.14 | +0.48 | +0.01 | -0.43 |
dispersion_window=40, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0219 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.34 | +1.65 | -0.03 | +0.14 |
dispersion_window=40, holding_days=10, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0235 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.85 | -2.67 | -0.47 | -0.27 |
dispersion_window=40, holding_days=20, base_signal=momentum_60, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0251 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_60" | -0.16 | +1.28 | -0.79 | +2.07 |
dispersion_window=40, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0267 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.17 | +1.67 | -0.25 | +3.60 |
dispersion_window=40, holding_days=60, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0283 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.26 | -0.92 | +0.02 | -10.01 |
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0288 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.50 | +0.30 | -0.54 | -1.84 |
dispersion_window=60, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0304 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.32 | -0.66 | -0.25 | -0.08 |
dispersion_window=60, holding_days=10, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0320 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.14 | +0.67 | -0.20 | +2.14 |
dispersion_window=60, holding_days=20, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0336 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.37 | +1.18 | -0.90 | -0.15 |
dispersion_window=60, holding_days=20, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0352 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | +0.05 | -2.06 | +0.71 | -1.66 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:32:26